Federal Register / Vol. 73, No.
43 / Tuesday, March 4, 2008 / Notices 11689
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57376; File No. SR–CBOE–
2007–104]
Self-Regulatory Organizations;
Chicago Board Options Exchange,
Incorporated; Order Approving
Proposed Rule Change, as Modified by
Amendment No. 1 Thereto, To List and
Trade Range Options and Designating
Range Options as Standardized
Options Pursuant to Rule 9b–1 of the
Exchange Act
February 25, 2008.
I. Introduction
On September 6, 2007, the Chicago
Board Options Exchange, Incorporated
(‘‘CBOE’’ or ‘‘Exchange’’) filed with the
Securities and Exchange Commission
(‘‘Commission’’), pursuant to Section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’),1 and Rule 19b–4
thereunder,2 a proposed rule change to
list and trade range options. CBOE filed
Amendment No. 1 to the proposal on
December 3, 2007.3 The proposed rule
115 U.S.C. 78s(b)(1).
217 CFR 240.19b–4.
3Amendment No. 1 replaced the original filing in
its entirety. The purpose of Amendment No. 1 was
to: (i) Revise the proposed changes to CBOE Rule
12.3, Margin Requirements, to specify initial and/
or maintenance margin requirements for margin and
cash accounts and to conform the proposed rule
text to existing rule text for other products; (ii)
revise the proposed definitions of ‘‘Range Interval,’’
‘‘Low Range and Low Range Exercise Value,’’ ‘‘High
Range and High Range Exercise Value,’’ ‘‘Exercise
Settlement Amount,’’ and to add a new proposed
definition of ‘‘exercise price;’’ (iii) revise proposed
CBOE Rule 20.3 to state specifically that Range
Options are a separate class from other options
overlying the same index; (iv) revise proposed
CBOE Rules 20.6, Position Limits, and 20.7, Reports
Related Position Limits and Liquidation of
Positions, to provide that Range Options will be
aggregated with other option contracts on the same
underlying index, including other classes of Range
Options overlying the same index, for position limit
purposes; (v) revise proposed CBOE Rule 20.11 to
reference certain rules of The Options Clearing
Corporation (‘‘OCC’’); (vi) add new proposed CBOE
Rule 20.12 to provide that, for purposes of Range
Options, reference in the Exchange Rules to the
‘‘appropriate committee’’ shall be read to be the
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change, as modified by Amendment No.
1, was published for comment in the
Federal Register on December 28,
2007.4 The Commission received no
comment letters regarding the proposed
rule change. This order approves the
proposed rule change, as modified by
Amendment No. 1 and designates Range
Options as standardized options
pursuant to Rule 9b–1 of the Act.
II. Description of the Proposal
CBOE proposes to list and trade cash-
settled, European-style Range Options
that overlie any index eligible for
options trading on the Exchange. Range
Options will have a positive payout if
the settlement value of the underlying
index falls within the specified Range
Length at expiration. Range Options will
be based on the same framework as
existing options that are traded on the
Exchange. However, the maximum
payout amount will be capped (as
specified by the Exchange at listing) and
the specific exercise settlement amount
may vary based on where on the Range
Length the settlement value of the
underlying index value falls.
The Payout Structure of Range Options
The universe of possible payout
amounts for Range Options resembles
the shape of an isosceles trapezoid
spread over a range of index values or
the ‘‘Range Length.’’ The Range Length,
or the bottom parallel (and longer) line
of the trapezoid, defines the entire
length of index values for which the
option pays a positive amount if the
settlement value of the underlying index
falls within the specific Range Length.
In other words, the Range Length equals
the total span between two underlying
‘‘Exchange;’’ (vii) provide additional information
regarding FLEX options; (viii) delete footnote 2
from the original proposed rule change, because the
proposal referenced therein, SR–CBOE–2006–99, is
now effective (See Securities Exchange Act Release
No. 56792 (November 15, 2007), 72 FR 65776
(November 23, 2007)); and (ix) make conforming
changes, clarifications and corrections in the
‘‘Purpose’’ section of the filing.
4See Securities Exchange Act Release No. 56993
(December 19, 2007), 72 FR 73913.
Frm 00079 Fmt 4703 Sfmt 4703 E:\FR\FM\04MRN1.SGM
index values, as set by the Exchange at
listing, that is used to determine
whether a Range Option is in or out of
the money at expiration.
The Range Length is comprised of
three segments that are defined by the
‘‘Range Interval,’’ which is a value that
the Exchange will specify at listing and
the minimum Range Interval will be at
least 5 index points. Using the isosceles
trapezoid diagram below, the ‘‘Range
Interval,’’ defines congruent triangles on
opposite sides of the trapezoid, which
have base angles of equal degrees and
equal base lengths.
The first triangle at the start of the
Range Length defines the ‘‘Low Range’’
for the Range Option and if the
settlement value of the underlying index
value falls in the Low Range (the ‘‘Low
Range Exercise Value’’), the option will
pay an amount that increases as the
index value increases within the Low
Range. To determine the exercise
settlement amount if the settlement
value of the index falls within the Low
Range, the Low Range Exercise Value
will be multiplied by the contract
multiplier, set by the Exchange at
listing.
The second triangle at the end of the
Range Length defines the ‘‘High Range’’
for the Range Option and if the
settlement value of the underlying index
falls in the High Range, the option will
pay an amount that decreases as the
index value increases within the High
Range (‘‘High Range Exercise Value’’).
To determine the exercise settlement
amount if the settlement value of index
falls within the High Range, the High
Range Exercise Value will be multiplied
by the contract multiplier, set by the
Exchange at listing. Lastly, the Low
Range and High Range are segments of
equal lengths at opposite ends on the
Range Length and if the settlement
value of the underlying index falls at the
starting value of the Low Range, at the
ending value of the High Range or
outside of either the Low Range or the
High Range, the option will pay $0.
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 11690 Federal Register / Vol. 73, No. 43 / Tuesday, March 4, 2008 / Notices
The third segment of the Range
Option is defined as the ‘‘Middle
Range,’’ and its length is equal to the
Range Length minus twice the Range
Interval, or as illustrated in the above
diagram, its length is equal to the length
of the top parallel (and shorter) line of
the trapezoid. If the settlement value of
the underlying index falls anywhere
within the Middle Range at expiration,
the payout is a fixed amount (set by the
Exchange at listing) and does not vary
depending on where in the Middle
Range the index value falls. Also, if the
index value falls in the Middle Range,
this will be the highest amount that can
be paid out for a Range Option and is
defined as the ‘‘Maximum Range
Exercise Value.’’ To determine the
exercise settlement amount if the
settlement value of the index falls
anywhere within the Middle Range, the
Maximum Range Exercise Value will be
multiplied by the contract multiplier,
set by the Exchange at listing.
Unlike other options, Range Options
will only be of a single type, and there
will not be traditional calls and puts.
Also, the exercise or ‘‘strike’’ price for
Range Options will be the Range Length
that, akin to a regular strike price, will
be used to determine if the Range
Option is in or out of the money. When
applicable, the ‘‘strike price’’ for a
Range Option (i.e., the Range Length)
will be used to determine the degree
that the option is in-the-money (capped
at the Maximum Range Exercise Value)
if the settlement value of the underlying
index falls within either the High or
Low Range of the Range Length.
Benefits of Range Options
The Exchange believes that the
introduction of Range Options will
provide advantages to the investing
public that are not provided for by other
index options. First, the Exchange
believes that Range Options offer
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investors a relatively low risk security
where the risk reduction results from
knowing the maximum risk exposure
when the contract is written. While
there may be variations in the exercise
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settlement amount, the maximum
exercise settlement amount is set at
listing and the maximum risk therefore
is limited and known at listing. Second,
Range Options are structured similar to
two-sided European-style binary options
that provide additional flexibility
because the option pays a reduced
amount if the underlying index settles
outside the main range covered by the
option.
Proposed New Rules
To accommodate the introduction of
Range Options, the Exchange proposes
to adopt new Chapter XX to its rules
and to make amendments to existing
CBOE Rules 6.1, Days and Hours of
Business, and 12.3, Margin
Requirements. An introductory
paragraph to Chapter XX will explain
that the proposed rules in the proposed
Chapter are applicable only to Range
Options. Trading in Range Options also
will be subject to the rules in Chapter
I through XIX, XXIV, XXIVA and
XXIVB, in some cases supplemented by
the proposed rules in the Chapter,
except for existing rules that will be
replaced by the proposed rules in the
Chapter and except where the context
otherwise requires. As proposed, the
majority of the rules governing index
options will equally apply to Range
Options. Those new proposed rules and
those proposed amendments to existing
rules pertaining to Range Options are
described below.
(a) Definitions (CBOE Rule 20.1)
New Chapter XX, Range Option
Contracts, includes new definitions
applicable to Range Options in CBOE
Rule 20.1. In particular, the terms
‘‘Range Option,’’ ‘‘settlement value,’’
‘‘Range Length,’’ ‘‘Range Interval,’’
‘‘Low Range and Low Range Exercise
Value,’’ ‘‘High Range and High Range
Exercise Value,’’ ‘‘Middle Range and
Maximum Range Exercise Value,’’
‘‘contract multiplier,’’ ‘‘exercise
settlement amount,’’ and ‘‘exercise
price’’ will be defined.
PO 00000 Frm 00080 Fmt 4703 Sfmt 4703
(b) Days and Hours of Business (CBOE
Rule 20.2 and Amendment to CBOE
Rule 6.1)
CBOE Rule 20.2 and an amendment to
CBOE Rule 6.1, Days and Hours of
Business Days and Hours of Business,
provides that transactions in Range
Options may be effected during normal
Exchange option trading hours for other
options on the same index.
(c) Designation of Range Option
Contracts and Maintenance Listing
Standards (CBOE Rules 20.3 and 20.4)
CBOE Rule 20.3 provides that the
Exchange may from time to time
approve for listing and trading on the
Exchange Range Option contracts that
overlie any index that is eligible for
options trading on the Exchange. Range
Options will be a separate class from
other options overlying the same index.
The Exchange may add new series of
Range Options of the same class (i.e.,
overlying the same index) as provided
for by the rules governing options on the
same underlying index. Additional
series of Range Options may be opened
for trading on the Exchange when the
Exchange deems it necessary to
maintain an orderly market or to meet
customer demand. The opening of a
new series of Range Options on the
Exchange will not affect any other series
of options of the same class previously
opened.
CBOE Rule 20.4 provides that the
maintenance listing standards with
respect to options on indexes set forth
in CBOE Rule 24.2 and the
Interpretations and Policies thereunder
will be applicable to Range Options on
indexes. CBOE Rule 24.2, Designation of
the Index, sets forth initial and
maintenance listing criteria for index
options.
(d) Limitation of Liability of Exchange
and of Reporting Authority (CBOE Rule
20.5)
CBOE Rule 20.5 provides that CBOE
Rule 6.7, Exchange Liability, will be
applicable in respect of any class of
EN04MR08.012</GPH>
Range Options and that CBOE Rule
E:\FR\FM\04MRN1.SGM 04MRN1
 Federal Register / Vol. 73, No. 43 / Tuesday, March 4, 2008 / Notices
24.14, Disclaimers, will be applicable in
respect of any reporting authority that is
the source of values of any index
underlying any class of Range Options.
(e) Position Limits, Reporting Relating to
Position Limits and Liquidation of
Positions and Exercise Limits (CBOE
Rules 20.6–20.8)
CBOE Rule 20.6 provides that in
determining compliance with CBOE
Rules 4.11, Position Limits, 24.4,
Position Limits for Broad-Based Index
Options, 24.4A, Position Limits for
Industry Index Options, and 24.4B,
Position Limits for Options on Micro
Narrow-Based Indexes as Defined Under
Rule 24.2(d), cash-settled Range Options
will have position limits equal to the
position limits for options on the same
underlying index. In determining
compliance with the applicable position
limits, Range Options must be
aggregated with other option contracts
on the same underlying index,
including other classes of Range
Options overlying the same index.
CBOE Rule 20.7 provides that Range
Options will be subject to the same
reporting and other requirements
triggered for options on the same
underlying index. In computing
reportable Range Options, Range
Options will be aggregated with other
option contracts on the same underlying
index, including other classes of Range
Options overlying the same index.
CBOE Rule 20.8 provides that exercise
limits for Range Options will be the
same as those exercise limits for other
options on the same underlying index.
To illustrate, CBOE Rule 24.4 provides
that the standard position limit for
options on the CBOE Russell 2000
Volatility Index (‘‘RVX’’) is 50,000
contracts, and the near-term position
limit is 30,000 contracts. Therefore, the
standard position limit for Range
Options overlying the RVX also will be
50,000 contracts, and the near-term
position limit would be 30,000
contracts. The 30,000 contract near-term
position limit will also be the applicable
exercise limit for Range Options on the
RVX.5
For the purpose of determining
compliance with the above limits, Range
Options on the RVX will be aggregated
with all other options on the RVX,
including all series of Range Options on
the RVX. This same aggregation will
also be utilized to calculate the
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5See CBOE Rule 24.5, Exercise Limits, which
provides, inter alia, that in determining compliance
with CBOE Rule 4.12, exercise limits for index
option contracts shall be applicable to the position
limits prescribed for option contracts with the
nearest expiration date in CBOE Rules 24.4 or
24.4A.
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reporting requirements set forth in
CBOE Rule 4.13, Reports Related to
Position Limits.6
(f) Determination of Settlement Value of
the Underlying Index (CBOE Rule 20.9)
CBOE Rule 20.9 provides that Range
Options that are ‘‘in-the-money,’’ or
‘‘out-of-the-money’’ will be a function of
the settlement value of the underlying
index and whether at expiration the
settlement values will fall within or
outside of the Range Length.
(g) Premium Bids and Offers; Minimum
Increments (CBOE Rule 20.10)
CBOE Rule 20.10 provides that all
bids or offers made for Range Option
contracts will be deemed to be for one
contract unless a specific number of
option contracts is expressed in the bid
or offer. A bid or offer for more than one
option contract, which is not made all-
or-none, will be deemed to be for that
amount or any lesser number of option
contracts. An all-or-none bid or offer
will be deemed to be made only for the
amount stated. CBOE Rule 20.10 also
will provide that all bids or offers made
for Range Option contracts would be
governed by the CBOE Rule 24.8,
Meaning of Premium Bids and Offers, as
that rule applies to index options.
(h) Exercise of Range Options (CBOE
Rule 20.11)
CBOE Rule 20.11 provides that Range
Options will be exercised at expiration
if the settlement value of the underlying
index falls within the Range Length, and
that Range Options will be subject to the
exercise by exception processing
procedures set forth in OCC Rules 805
and 1804. OCC Rules 805 and 1804
contain provisions that, inter alia,
permit option holders to give
instructions to not exercise an option
contract.
(i) Exchange Authority (CBOE Rule
20.12)
CBOE Rule 20.12 provides that for
purposes of Range Options, references
in the Exchange’s Rules to the
appropriate committee shall be read to
be the Exchange.7 The Exchange
6 CBOE Rule 4.13 sets forth the general reporting
requirement for customer accounts that maintain a
position in excess of 200 contracts (long or short)
in any single class of option contracts.
7 Thus, for example, references to determinations
regarding the applicable opening parameter settings
established by the ‘‘appropriate Procedure
Committee’’ in CBOE Rule 6.2B, Hybrid Opening
System (‘‘HOSS’’), shall be read to be by the
‘‘Exchange.’’ See e.g., Securities Exchange Act
Release No. 55919 (June 18, 2007), 72 FR 34495
(June 22, 2007) (rule change providing, inter alia,
that for purposes of Credit Options, references in
the Exchange Rules to the appropriate committee
shall be read to be the Exchange.).
Frm 00081 Fmt 4703 Sfmt 4703 E:\FR\FM\04MRN1.SGM
11691
proposed this provision because it may
determine to assign the applicable
authorities with respect to Range
Options to committees and/or Exchange
staff. This provision will provide the
Exchange with the flexibility to delegate
the authorities under the rules with
respect to Range Options to an
appropriate committee or appropriate
Exchange staff and will not have to
make a rule change merely to
accommodate the reassignment of such
authority. For example, the Exchange
may determine to delegate the authority
to determine the applicable opening
parameter settings to the Office of the
Chairman.
(j) FLEX Trading (CBOE Rule 20.13)
CBOE Rule 20.13 provides that Range
Options will be eligible for trading as
Flexible Exchange Options, as provided
for in Chapter XXIVA and XXIVB.8 For
purposes of CBOE Rules 24A.4 and
24B.4, the parties will designate the
Range Length, Range Interval and
Maximum Exercise Value. CBOE Rules
24A.9 and 24B.9, regarding the
minimum quote width, will not apply to
Range Options.
(k) Margin (Amendment to CBOE Rule
12.3)
The Exchange proposes to amend
CBOE Rule 12.3, Margin Requirements,
to include requirements applicable to
Range Options.9 Under the proposed
requirements, for a margin account, no
Range Option carried for a customer
will be considered of any value for
purposes of computing the margin
requirement in the account of such
customer and each Range Option carried
for a customer will be margined
separately. The initial and maintenance
margin required on any Range Option
carried long in a customer’s account
will be 100% of the purchase price of
such Range Option. The initial and
maintenance margin required on any
Range Option carried short in a
customer’s account will be the
Maximum Range Exercise Value times
the contract multiplier.
For a cash account, a Range Option
carried short in a customer’s account
will be deemed a covered position, and
8 FLexible EXchange Options (FLEX Options)
are customized equity or index option contracts that
provide investors with the ability to customize key
contract terms, like exercise prices, exercise styles
and expiration dates.
9 The Exchange proposes the addition of new
subparagraph (n) to CBOE Rule 12.3 for Range
Options and proposes to reserve subparagraph (m)
of this rule. The Exchange will reserve
subparagraph (m) because it previously proposed to
use that paragraph to codify margin requirements
for a product that is the subject of another rule
filing. See SR–CBOE–2006–105 (proposal to list and
trade binary options on broad based indexes).
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 11692 Federal Register / Vol. 73, No. 43 / Tuesday, March 4, 2008 / Notices
eligible for the cash account if either
one of the following is held in the
account at the time the option is written
or is received into the account promptly
thereafter: (i) Cash or cash equivalents
equal to 100% of the Maximum Range
Exercise Value times the contract
multiplier; or (ii) an escrow agreement.
The escrow agreement must certify that
the bank holds for the account of the
customer as security for the agreement:
(A) Cash, (B) cash equivalents, (C) one
or more qualified equity securities, or
(D) a combination thereof having an
aggregate market value of not less than
100% of the Maximum Range Exercise
Value times the contract multiplier and
that the bank will promptly pay the
member organization the cash
settlement amount in the event the
account is assigned an exercise notice.
The Exchange believes that these
proposed levels are appropriate because
risk exposure will be limited with Range
Options and the proposed customer
initial and maintenance margin will be
equal to the maximum risk exposure.10
(l) Options Disclosure Document
It is expected that OCC will seek a
revision to the Options Disclosure
Document (‘‘ODD’’) to incorporate
Range Options.
(m) Systems Capacity
The Exchange represents that it
believes the Exchange and the Options
Price Reporting Authority have the
necessary systems capacity to handle
the additional traffic associated with the
listing and trading of Range Options.
The Exchange does not anticipate that
there will be any additional quote
mitigation strategy necessary to
accommodate the trading of Range
Options.
(n) Surveillance Program
The Exchange represents that it will
have in place adequate surveillance
procedures to monitor trading in Range
Options prior to listing and trading such
options, thereby helping to ensure the
maintenance of a fair and orderly
market for trading in Range Options.
III. Discussion
The Commission finds that the
proposed rule change, as modified by
Amendment No. 1, is consistent with
the requirements of the Act and the
rules and regulations thereunder
applicable to a national securities
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10 In accordance with CBOE Rule 12.10, Margin
Required is Minimum, the Exchange has the ability
to determine at any time to impose higher margin
requirements than those described above in respect
of any Range Option position when it deems such
higher margin requirements are appropriate.
VerDate Aug<31>2005 17:57 Mar 03, 2008 Jkt 214001
exchange.11 Specifically, the
Commission finds that the proposal is
consistent with Section 6(b)(5) of the
Act,12 which requires, among other
things, that the rules of a national
securities exchange be designed to
prevent fraudulent and manipulative
acts and practices, to promote just and
equitable principles of trade, to remove
impediments to and perfect the
mechanism of a free and open market
and a national market system, and, in
general, to protect investors and the
public interest. The Commission
believes that Range Options would
provide investors with a potentially
useful investment choice. The
Commission notes that investors now
can replicate the features and structure
of Range Options through the use of
currently available options traded on
the Exchange.13
The Commission notes that it
previously approved rules relating to
the listing and trading of FLEX Options
on CBOE, which give investors and
other market participants the ability to
individually tailor, within specified
limits, certain terms of those options.14
The current proposal incorporates
Range Options that trade as FLEX
Options into these existing rules and
regulatory framework. The Commission
finds that the Exchange’s proposal to
allow Range Options to be eligible for
trading as FLEX Options is consistent
with the Act.
The Commission believes that the
proposed position limits and margin
rules for Range Options are reasonable
and consistent with the Act. Setting
position and exercise limits on Range
Options that are equal to those limits on
options on the same underlying index
appears to reasonably balance the
promotion of a free and open market for
these securities with minimization of
incentives for market manipulation. In
addition, the proposed margin rules
appear reasonably designed to deter a
member or its customer from assuming
11 In approving this proposed rule change, the
Commission has considered the proposed rule’s
impact on efficiency, competition, and capital
formation. See 15 U.S.C. 78c(f).
12 15 U.S.C. 78f(b)(5).
13 The payout structure of a Range Option can be
replicated by purchasing four calls or puts with
varying strike prices. Range Options will enable
investors to obtain the same payout structure by
purchasing one option, with the potential of
significantly reducing investors’ transaction costs.
Therefore, the Commission is designating Range
Options as standardized options for purposes of the
options disclosure framework established under
Rule 9b–1 of the Act. See Securities Exchange Act
Release Nos. 31910 (February 23, 1993), 58 FR
12056 (March 2, 1993) and 34925 (November 1,
1994), 59 FR 55720 (November 8, 1994).
14 See Securities Exchange Act Release No. 31910
(February 23, 1993), 58 FR 12056 (March 2, 1993).
PO 00000 Frm 00082 Fmt 4703 Sfmt 4703 E:\FR\FM\04MRN1.SGM
an imprudent position in Range
Options.
In support of its proposal, CBOE made
the following representations:
• CBOE has in place an adequate
surveillance program to monitor trading
in Range Options and intends to largely
apply its existing surveillance program
for options to the trading of Range
Options; and
• CBOE has the necessary systems
capacity to support the new options
series that would result from the
introduction of Range Options.
This approval order is based on
CBOE’s representations.
III. Conclusion
It is therefore ordered, pursuant to
Section 19(b)(2) of the Act, that the
proposed rule change (SR–CBOE–2007–
104), as modified by Amendment No. 1,
is hereby approved.
It is further ordered, pursuant to Rule
9b–1(a)(4) under the Act,15 that Range
Options are designated as standardized
options.
For the Commission, by the Division of
Trading and Markets, pursuant to delegated
authority.16
Florence E. Harmon,
Deputy Secretary.
[FR Doc. E8–4104 Filed 3–3–08; 8:45 am]
BILLING CODE 8011–01–P
SECURITIES AND EXCHANGE
COMMISSION
[Release No. 34–57386; File No. SR–Phlx–
2008–02]
Self-Regulatory Organizations;
Philadelphia Stock Exchange, Inc.;
Order Granting Approval of Proposed
Rule Change To Amend By-Law Article
XIV, Section 14–5 and Phlx Rule 50
February 27, 2008.
On January 8, 2008, the Philadelphia
Stock Exchange, Inc. (‘‘Phlx’’ or
‘‘Exchange’’) filed with the Securities
and Exchange Commission
(‘‘Commission’’), pursuant to section
19(b)(1) of the Securities Exchange Act
of 1934 (‘‘Act’’) 1 and Rule 19b–4
thereunder,2 a proposed rule change to:
(i) Modify the timeframes within which
monies owed to the Exchange would
become reportable to the Board of
Governors (‘‘Board’’) for further action;
(ii) eliminate references to the monetary
threshold of $10,000; (iii) conform By-
Law language to indicate that Members,
Member Organizations, participants,
15 17 CFR 240.9b–1(a)(4).
16 17 CFR 200.30–3(a)(12).
1 15 U.S.C. 78s(b)(1).
2 17 CFR 240.19b–4.
04MRN1